I'm trying to use QuantRocket's Moonshot backtester with a separate datasource, and I need to know what format the prices dataframe is in so I can create my own.
I tried to run a QuantRocket trial, but I'm not able to get historical prices because I don't have a paid Interactive Brokers account, so it's basically unusable.
Any insight would be greatly appreciated.
You can see many example DataFrames in QuantRocket's usage guide. The index is a Multiindex of Field and Date, the columns are ConIds (contract IDs):
>>> prices.head()
ConId 13857203 13905344 13905462 13905522 13905624 \
Field Date
Close 2017-01-04 11150.0 3853.0 4889.0 4321.0 2712.0
2017-01-05 11065.0 3910.0 4927.0 4299.0 2681.0
2017-01-06 11105.0 3918.0 4965.0 4266.0 2672.5
2017-01-10 11210.0 3886.0 4965.0 4227.0 2640.0
2017-01-11 11115.0 3860.0 4970.0 4208.0 2652.0
...
Volume 2018-01-29 685800.0 2996700.0 1000600.0 1339000.0 6499600.0
2018-01-30 641700.0 2686100.0 1421900.0 1709900.0 7039800.0
2018-01-31 603400.0 3179000.0 1517100.0 1471000.0 5855500.0
2018-02-01 447300.0 3300900.0 1295800.0 1329600.0 5540600.0
2018-02-02 510200.0 4739800.0 2060500.0 1145200.0 5585300.0